This article explores whether the impact of marital status on the risk of preterm birth varies in relation to marital practices in the population, defined by the proportion of out-of-marriage births. Data come from a case–control study of the determinants of preterm birth in 16 European countries (5456 cases and 8234 controls). There is a significantly elevated risk of preterm birth associated with both cohabitation (OR = 1.29 [1.08, 1.55]) and single motherhood (OR = 1.61 [1.26, 2.07]) for women living in countries where fewer than 20% of births occur outside marriage. In contrast, there is no excess risk associated with marital status when out-of-marriage births are more common. This overall result does not apply to all subgroups of preterm births: different patterns emerge for early preterm births and preterm births induced for medical reasons. It is important to consider social context in the analysis of individual risk factors.